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^TNX vs. TMV
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^TNX and TMV is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

^TNX vs. TMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Treasury Yield 10 Years (^TNX) and Direxion Daily 20-Year Treasury Bear 3X (TMV). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.64%
12.89%
^TNX
TMV

Key characteristics

Sharpe Ratio

^TNX:

0.61

TMV:

0.70

Sortino Ratio

^TNX:

1.06

TMV:

1.25

Omega Ratio

^TNX:

1.12

TMV:

1.14

Calmar Ratio

^TNX:

0.25

TMV:

0.30

Martin Ratio

^TNX:

1.33

TMV:

1.76

Ulcer Index

^TNX:

10.31%

TMV:

16.76%

Daily Std Dev

^TNX:

22.23%

TMV:

42.00%

Max Drawdown

^TNX:

-93.78%

TMV:

-99.06%

Current Drawdown

^TNX:

-43.99%

TMV:

-96.58%

Returns By Period

In the year-to-date period, ^TNX achieves a 16.24% return, which is significantly lower than TMV's 30.84% return. Over the past 10 years, ^TNX has outperformed TMV with an annualized return of 7.62%, while TMV has yielded a comparatively lower -6.38% annualized return.


^TNX

YTD

16.24%

1M

2.63%

6M

5.64%

1Y

15.91%

5Y*

18.66%

10Y*

7.62%

TMV

YTD

30.84%

1M

1.69%

6M

15.37%

1Y

31.18%

5Y*

7.04%

10Y*

-6.38%

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Risk-Adjusted Performance

^TNX vs. TMV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) and Direxion Daily 20-Year Treasury Bear 3X (TMV). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for ^TNX, currently valued at 0.61, compared to the broader market-1.000.001.002.000.610.70
The chart of Sortino ratio for ^TNX, currently valued at 1.06, compared to the broader market-1.000.001.002.003.001.061.25
The chart of Omega ratio for ^TNX, currently valued at 1.12, compared to the broader market0.800.901.001.101.201.301.401.121.14
The chart of Calmar ratio for ^TNX, currently valued at 0.50, compared to the broader market0.001.002.003.004.000.500.30
The chart of Martin ratio for ^TNX, currently valued at 1.32, compared to the broader market0.005.0010.0015.001.331.76
^TNX
TMV

The current ^TNX Sharpe Ratio is 0.61, which is comparable to the TMV Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of ^TNX and TMV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
0.61
0.70
^TNX
TMV

Drawdowns

^TNX vs. TMV - Drawdown Comparison

The maximum ^TNX drawdown since its inception was -93.78%, smaller than the maximum TMV drawdown of -99.06%. Use the drawdown chart below to compare losses from any high point for ^TNX and TMV. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.90%
-96.58%
^TNX
TMV

Volatility

^TNX vs. TMV - Volatility Comparison

The current volatility for Treasury Yield 10 Years (^TNX) is 5.92%, while Direxion Daily 20-Year Treasury Bear 3X (TMV) has a volatility of 12.42%. This indicates that ^TNX experiences smaller price fluctuations and is considered to be less risky than TMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
5.92%
12.42%
^TNX
TMV
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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